EFTA Document EFTA01373775

For Key Client Partners or US Institutional Investors. Not for Retail Distribution Term A/B Financing Overview of Risks and Considerations Muni Bond Price Risks Risk Ex .lanation Consideration Risk-Free Rates Broad. risk-free rates (LIBOR( such as LIBOR increase Muni Market Spreads Idiosyncratic Credit Spread Liquidity Spread Risk Optionality I Caliability Deutsche Bank Muni market spreads. measured as the difference between MMD and LIBOR. may increase Specific credit quality of the issuer deteriorates. increasing the single- name spread Specific bonds may contain nonstandard or complex features. leading to a wider single-name spread, especially in times of market stress Callable Muni Bonds are generally called when economically advantageous to the issuer, not the investor Possible to partially / fully hedge LIBOR to offset rate risk Investor must be comfortable that MMD cannot be directly hedged through interest rate swaps Muni Bonds have historically experienced a very low default rate: Investors can select names across ratings and sectors that fits specific risk / return appetite Investors must be comfortable with the inherent hgher risks associated with less liquid bonds, as perceived by the general market that determines the price over time Investors must be comfortable that the duration of callable bonds can change quickly. depending on the market's view of the likelihood of being called. taking into account the costs of issuing refinancing bonds A/B Financing Structure Risks Risk Ex • lanation Consideration Bond Price Risk Tenor Mismatch Risk Trigger Price Risk Early Termination Risk Collateral Risk Proceeds of bond sales are distributed first to D8 then to client Financing tenor is shorter than underlying bond maturity DB has right to terminate transaction either if Muri Bond price drops below unwind trigger Trust may unwind early due to events outside of Investor's control Client may have the ability to post collateral to avoid an price-based unwind trigger, subject to DB credit approval Taxability Risk The Trust collapses upon taxability of the Muni Bonds Investor should carefully evaluate Bond Price Risks mentioned here and only execute when comfortable with the risk / return tradeoff Upon Trust Termination, any market losses of underlying bond are first applied to B Certificate Investor should be aware that if either event occurs. DB will have the optional right to immediately collapse the Trust Investor must be comfortable with early unwind events, including bit not limited to price decline past trigger. bond failure to pay. bankruptcy of bond obligor, and taxability Investor must maintain sufficient liquidity to post if Investor elects to remain in the trade without having to terminate I lock-in any losses Most Muni Bonds carry a tax- exempt opinion from bond counsel I 12 AM transactions subtea to final cleat legal. tax and other Sanaa De approvals. De is not a financial. accounting. or lax advisor to Investor and Investor should consider cantor* vat Their achtsors pnor to executing any transaction. Further informatbn can be minded upon inquest CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL SDNY_GM_00214316 DB-SDNY-0068132 EFTA01373775